Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0161
Annualized Std Dev 0.3097
Annualized Sharpe (Rf=0%) 0.0519

Row

Daily Return Statistics

Close
Observations 3415.0000
NAs 1.0000
Minimum -0.1847
Quartile 1 -0.0068
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0075
Maximum 0.2362
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0195
Skewness 0.0362
Kurtosis 16.8150

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0152
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0181
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.7328
Historical VaR (95%) -0.0264
Historical ES (95%) -0.0478
Modified VaR (95%) -0.0250
Modified ES (95%) -0.0250
From Trough To Depth Length To Trough Recovery
2007-05-31 2009-03-06 2013-04-30 -0.7328 1417 373 1044
2020-02-24 2020-03-23 NA -0.4416 272 21 NA
2016-08-02 2018-02-08 2019-06-20 -0.2134 726 384 342
2013-05-22 2013-08-19 2014-09-05 -0.1883 326 62 264
2015-01-27 2016-02-11 2016-06-29 -0.1852 360 264 96

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.3 -0.8 -0.3 1 1.8 -3.2 -1.6 -1.8 -5.1
2008 -0.6 -1.3 1.2 1.2 -0.2 -0.3 0.1 -0.8 -5.1 7 -12.8 7.4 -5.5
2009 -8.7 -1.3 -0.2 -3.6 5.7 1.2 0.2 -5.3 -4.5 -1.6 1.2 -2.2 -18
2010 1.9 0.8 0.4 -3.2 -2.8 -0.2 0.6 3.8 0.6 0.6 0.8 -0.4 2.7
2011 0.3 -3 0.1 -0.5 -3.1 1.8 -1.5 -1.6 -2.9 -3.5 -1.2 -0.2 -14.3
2012 0.7 0.5 1 1 -2.6 2.6 -0.3 0.2 -0.7 0.3 0.5 1 4.2
2013 0.5 0.4 0.1 -0.8 -1.2 -0.4 -0.7 -0.9 1.5 0.5 -1.1 -0.5 -2.5
2014 0.4 0.9 0.4 0.5 0.4 0.4 -0.4 0.5 0.1 1.2 -0.1 -1.5 2.9
2015 -2.1 0.9 -0.2 0.7 1.3 1.4 0.7 -2 0.4 -0.9 1.3 -0.9 0.7
2016 0 2.7 0 -1.1 -0.2 0 0.3 -0.3 -0.7 -2.3 -1.6 1.2 -2
2017 -1.2 -0.3 0.5 0.7 0.5 -0.2 0.4 0.3 0.1 0.4 0.1 0 1.3
2018 -2.2 0.2 -0.1 1.1 0.5 0.2 0.6 0.1 -0.7 0.5 1 0.3 1.4
2019 -0.8 -0.7 0.1 0.4 0.4 -0.2 -0.4 0.2 -1.1 -0.2 -0.4 0.7 -1.9
2020 -1.1 -2.5 -7.6 -4 2.6 2.3 0.1 -0.2 2.2 -1.1 1.5 1.1 -6.8
2021 1.9 0.5 -1.5 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-10  20.1 SPY    150. -1.05e-2 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215  -0.0221
2 2007-05-11  20.1 SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
3 2007-05-14  20.1 SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
4 2007-05-15  19.8 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
5 2007-05-16  19.6 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
6 2007-05-17  19.3 SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart